Within the "All-in-One OpenVPN Management Script" section of that page, under the heading of "2. Key management" there's this...
# Configuration parameters
export EASYRSA_PKI="${VPN_PKI}"
It should read like this....
# Configuration parameters
export EASYRSA_PKI="${OVPN_PKI}"
without this edit, upon selecting option "12" you'll get....
Select an option (0-13): 12
cp: can't create '': No such file or directory
Easy-RSA error:
Failed to copy to PKI: /etc/easy-rsa/openssl-easyrsa.cnf
and the PKI won't build/initialize since the rest of the script requires/uses the variable specified at the top of the script which looks like this...
#!/bin/sh
# Configuration parameters
OVPN_PKI="/etc/easy-rsa/pki"